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Robeco QI Dynamic High Yield D3H USD

Index: Bloomberg Barclays Global High Yield Corporate (hedged into USD)
ISIN: LU1440725619
  • Liquid exposure to global high yield corporates
  • Performance driven by a unique quantitative model
  • An alternative for passive or direct high-yield investments
Assets class
Current price ()
Performance YTD ()
Currency USD
Total size of fund ()
Dividend payingYes

About this fund

Robeco QI Dynamic High Yield aims to provide long-term capital growth and offers diversified exposure to global high yield corporates, by investing primarily in CDS index derivatives. The selection of these instruments is based on a quantative model. The performance is model-driven by taking active beta positions to decrease or increase the exposure towards the high-yield market within pre-defined risk limits.

Price development

No performance data available

Price development

Robeco QI Dynamic High Yield D3H USD

Performance

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The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.
Fund Reference index
The value of the investments may fluctuate. Past performance is no guarantee of future results.
Annualized (for periods longer than one year).
Cumulized (total amount of return).
Performances are gross of fees and based on closing values. In reality, costs (such as management fees and other costs) are charged. These have a negative effect on the returns shown.

Performances are net of fees and based on transaction prices.

Performance explanation

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Based on transaction prices, the fund's return was -0.38%. The fund underperformed its cash high yield bond benchmark. The model contributed neutrally to the performance. The combined return of investing in CDS indices and government bonds underperformed high yield cash bonds and detracted from performance.

Statistics

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Market development

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Global high yield continued to show positive total returns in September as steady retail inflows and looser central bank policy helped digest a wave of new issue supply and uplifted volatility in commodity-related credits. In September, the Fed delivered a widely anticipated 25 bps cut and markets are now pricing in a 50% chance of any action between now and year-end. Credit spreads tightened but underlying treasury yields gave back some momentum keeping yields almost unchanged for the month. The CDS spread tightened 20 bps for the iTraxx CrossOver Index and widened 9 bps for the CDX High Yield Index, partly driven by the bi-annual roll. The global underlying government bond return was negative at -0.5%. The combined return of investing in CDS indices and government bonds was -0.4%, lower than the cash high yield bond index which returned 0.2%.

Fund allocation

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Name Sector Weight
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Fund Classification

YesNoN/A 
Voting
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ESG integration
Exclusion
YesNoN/A 
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Sustainability Themed Fund

Currency policy

To preserve the value of the investments of Robeco Quant High Yield Fund IH USD in dollar, derivatives are used for currency hedging transactions

Dividend policy

The fund distributes dividend on a quarterly basis.

ESG Integration policy

For Robeco QI Dynamic High Yield the investment universe and the type of investments are such that it is not feasible to implement the ESG factors into the investment processes.

Investment policy

Robeco QI Dynamic High Yield offers well-diversified exposure to US and European high yield corporates by investing in highly liquid CDS indices. These indices, which are independently maintained, are much more liquid than direct investments in high yield bonds. Twice a year the issuers with the highest liquidity are added to these indices and distressed issuers are excluded. Because of their high liquidity, investors can use these CDS indices to efficiently get high yield exposure with much lower transaction costs than high yield bonds. The performance of Robeco QI Dynamic High Yield is driven by a unique quantitative market-timing model. This proprietary model has a track record of over 10 years. The model is based on academic research and uses a variety of factors, amongst others from credit and equity markets, to forecast credit returns. Based on this forecast, the exposure of the fund to the high yield corporate bond market will be decreased or increased. As a result, the beta of the portfolio varies between 0.5 and 1.5, to reduce risk in declining markets and to benefit more in rising markets. Robeco QI Dynamic High Yield Fund aims to offer a better return than the Barclays Global High Yield Corporate index. The index is used to express the benefits of the strategy as an alternative to passive or direct investments in high yield bonds. Especially in low-liquidity environments, the benefits of the strategy become clear: cash bond returns could be severely hurt, whereas market stress has a much more muted impact on the liquid instruments used in Robeco QI Dynamic High Yield .Weekly positioning updates are available upon request.

Risk policy

The investment strategy of the fund aims to outperform its 100% exposure to high yield corporates by taking active beta positions based on Robeco's quantitative market timing model. These active positions are set to always meet the predefined guidelines. As the investment exposure of the fund is obtained to a material degree through derivatives, it is important to manage counterparty risk. Therefore the credit quality of the counterparties is monitored and collateral is exchanged on a daily basis to reflect market movements in the value of the instruments. The predefined guidelines also restrict the leverage exposure of derivatives on a fund level and the currency exposure as described in the prospectus.

Expectation of fund manager

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The positions of the fund are fully determined by the outcome of our proprietary credit beta model. The fund is currently positioned for higher spreads with an underweight credit beta position. The underweight position is driven by the value and season variables.

Johan Duyvesteyn, Olaf Penninga
Johan Duyvesteyn, Olaf Penninga

Johan Duyvesteyn, Olaf Penninga

Mr. Johan Duyvesteyn is Portfolio Manager and Quantitative Researcher with Robeco. Johan has been active in the industry and with Robeco since 1999. He started his career as researcher. His areas of expertise are government bond market timing, country sustainability and emerging debt. Johan has published several articles in the academic finance literature, including the Journal of Empirical Finance, the Journal of Banking and Finance and the Journal of Fixed Income. Johan holds a Ph.D. in Finance as well as a Master's degree in Financial Econometrics from the Erasmus University Rotterdam. He became a CFA charter holder in 2005 and is registered with the Dutch Securities Institute. Olaf Penninga is Lead Portfolio Manager for the Dynamic Duration strategy and Portfolio Manager for the Dynamic High Yield strategy. He has been Portfolio Manager for the Dynamic Duration strategy since 2005 and Lead Portfolio Manager since 2011. One of his previous positions within Robeco was that of Researcher with responsibility for fixed income allocation research, including the research underlying the Dynamic Duration strategy. Olaf was employed by Interpolis as Investment Econometrician for one year before returning to Robeco in 2003. He started his career in the industry in 1998 at Robeco. He holds a Master's in Mathematics (cum laude) from Leiden University.

Details

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Management company
Fund capital
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ISINLU1440725619
BloombergRQHD3H LX
Valoren33119355
WKN
Availability
1st quotation date1468195200000
Close financial year31-12
Legal status
Tracking error limit (%)
Morningstar
Reference index

Cost of this fund

Ongoing charges

This fund deducts ongoing charges of
These charges comprise
Management fee
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Transaction costs

The expected transaction costs are

Performance fee

This fund may also deduct a performance fee of

Extra fees

max entry fee
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Fiscal product treatment

The fund is established in Luxembourg and is subject to the Luxembourg tax laws and regulations. The fund is not liable to pay any corporation, income, dividend or capital gains tax in Luxembourg. The fund is subject to an annual subscription tax ('tax d'abonnement') in Luxembourg, which amounts to 0.01% of the net asset value of the fund. This tax is included in the net asset value of the fund. The fund can in principle use the Luxembourg treaty network to partially recover any withholding tax on its income.

Fiscal treatment of investor

Investors who are not subject to (exempt from) Dutch corporate-income tax (e.g. pension funds) are not taxed on the achieved result. Investors who are subject to Dutch corporate-income tax can be taxed for the result achieved on their investment in the fund. Dutch bodies that are subject to corporate-income tax are obligated to declare interest and dividend income, as well as capital gains in their tax return. Investors residing outside the Netherlands are subject to their respective national tax regime applying to foreign investment funds. We advise individual investors to consult their financial or tax adviser about the tax consequences of an investment in this fund in their specific circumstances before deciding to invest in the fund.

All documents have been registered with the Monetary Authority of Singapore (“MAS”).

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